After a contact with the WPML tecnical support, they reply as follows:

Checking the Javascript webconsole: I see there’s a syntax error.

[17:08:52.784] Error: Syntax error, unrecognized expression: .b%d0%b8%d0%bb%d0%bb%d0%b0_sort @ http://www.ilovespain.co/wp-includes/js/jquery/jquery.js?ver=1.10.2:3
–
[17:09:13.056] Error: Syntax error, unrecognized expression: .t%d0%b0%d1%83%d0%bd%d1%85%d0%b0%d1%83%d1%81_sort @ http://www.ilovespain.co/wp-includes/js/jquery/jquery.js?ver=1.10.2:3

so they ask me to change my cyrillic characters in portfolio categories to latin ones:

Yes can you rename all instances of “Вилла / Таунхаус/…” from admin backend to english or spanish.

I did it :
I have changed all my categories (villa, pareado, apartamento, estudio) in russian part. Having them in latin characters the sorting works.

and the last reply was:

Great, may be you will have to contact your theme author as the call on click event generated uses the category_name, so if it uses Non-Latin characters such as Russian, it gives Syntax error.

I need you help to resolve this syntax error in the theme.

waiting for your response,

Jotey